[BUCH][B] Interest rate modelling in the multi-curve framework: Foundations, evolution and implementation
M Henrard - 2014 - books.google.com
Following the financial crisis dramatic market changes, a new standard in interest rate
modelling emerged, called the multi-curve framework. The author provides a detailed …
modelling emerged, called the multi-curve framework. The author provides a detailed …
Everything you always wanted to know about multiple interest rate curve bootstrap** but were afraid to ask
After the credit and liquidity crisis started in summer 2007 the market has recognized that
multiple yield curves are required for estimation of both discount and FRA rates with dfferent …
multiple yield curves are required for estimation of both discount and FRA rates with dfferent …
Multi-curve framework with collateral
M Henrard - OpenGamma Quantitative Research, 2013 - papers.ssrn.com
This note is dedicated to the impact of collateral on the multi-curve framework. The pricing
formulas in presence of collateral are described in a generic way encompassing several …
formulas in presence of collateral are described in a generic way encompassing several …
Pricing collateralized derivatives with an arbitrary numeraire
J Kennedy - Mathematical Finance, 2020 - Wiley Online Library
Since the 2008 crisis collateralized derivatives have become commonplace in the market.
There have been many papers in recent years on pricing collateralized derivatives but the …
There have been many papers in recent years on pricing collateralized derivatives but the …
A Note on Evaluation of Derivatives with Collaterals
M Han, YR He, H Zhang - Hu and Zhang, Hu, A Note on Evaluation …, 2015 - papers.ssrn.com
This is a revised version of our published paper Han et al.(2014). In this paper, valuation of a
derivative, which is traded between default-free counterparties, partially collateralized in …
derivative, which is traded between default-free counterparties, partially collateralized in …
[PDF][PDF] Multi-CurveFrameworkwith Collateral
M Henrard - quant.opengamma.io
This note is dedicated to the impact of collateral on the multi-curve framework. The pricing
formula in presence of collateral are described in a generic way encompassing several …
formula in presence of collateral are described in a generic way encompassing several …